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VIX -4% as equities trade in a tight range today

Nov 16, 2018

 

 

Options Market Commentary

Equities are mixed today with strength in Utilities (+1.2%) and Healthcare (+.95%), while Technology names are getting hit today on the heels of a rough earnings report from NVDA (-18%) and continued weakness from FB (-3.7%). Currently the S&P is +.26%, the Russell is -.2%, and the Nasdaq is -.4%. Bonds are higher with TLT +.4%. Gold is higher with GLD +.7% and GDX +1.8% Energy is higher with WTI crude +.3% and UNG +7%, however energy stocks are mixed with XOP -.5% and XLE +.8%. Volatilities are lower with the VIX -5% to 18.95, RVX -2.4% to 23 and VXN -3% to 25.27

 

ETF 30D Volatility Changes

SPY:        -6%

IWM:       -2%

QQQ:      -2%

 

Directional Options Strategies

Bullish Option Strategies

VALE Buyer 12,504 Jan 16 call options (ref. 14.85)

FCX Buyer 13,000 Jan 13 call options (ref. 11.96)

DHI Buyer 3,100 Jan 39 call options (ref. 33.89)

GE Buyer 43,000 Dec 10 – 12 call options spreads (ref. 7.84)  

ACB Buyer 2,800 Dec 7.5 call options (ref. 6.34)

CTSH Buyer 4,000 Nov 30th 70 call options (ref. 68.85)

 

Bearish Option Strategies

URBN Buyer 3,000 Jan 31 put options (Earnings 11/19, ref. 37.17)

BGE Seller 15,300 Apr 2.5 call options (ref. 2.58)

PFE Seller 18,000 Dec 45 call options (ref. 43.56, possibly closing)

 

Macro Options Strategies

Bullish Option Strategies

EEM Buyer 19,500 Jan 42 call options (ref. 40.41)

SMH Buyer 5,700 Dec 7th 95 call options (ref. 92.91)

USO Buyer 12,500 Apr 13 call options (ref. 12.26)

VIX 25,000 Dec 15 put options (ref. 19.00)

 

Bearish Option Strategies

IWM Buyer 10,000 Jan 140 – 130 put options spreads (ref. 151.22)

EWZ Buyer 20,000 Dec 38 put options (ref. 39.85)

EWW Seller 20,000 Dec 40 put options to Buy 20,000 Mar 38 put options (ref. 41.00)

HYG Buyer 50,000 Dec 82 – 80 1x2 put options spreads (ref. 83.06)

XLF Buyer 5,000 Feb 25 put options (ref. 26.74)

QQQ 15,000 Mar 120 – 105 put options spreads trade (ref. 166.53)

XLB Buyer 3,000 Jan 51 put options (ref. 54.68)

XLP Buyer 5,000 Dec 28th 56.5 put options (ref. 56.03)

 

 

 

Finance Trades Options Strategies

SPY 10,000 Nov 275 RevCons trade (ref. 272.37)

EEM 12,000 Nov 40 RevCons trade (ref. 40.61)

HYG 15,000 Dec 7th 90 RevCons trade (ref. 83.11)

ADP 15,000 Nov 146 RevCons trade (ref. 146.10)

 

 

 

Upcoming Earnings

 

Underlying Earnings Date Imp Move Historical Move Cheap vs Expensive Quantamize Rating Average Daily Vega
A 11/19/2018 5.4 3.9 38.4% C 9857
AABA 11/19/2018 3.1 2.1 51.1% A 90602
INTU 11/19/2018 4.9 3.0 63.0% B 30617
JACK 11/19/2018 7.9 5.8 36.3% D 5009
LB 11/19/2018 7.6 6.5 16.7% D 32194
PSTG 11/19/2018 11.6 9.7 20.0% F 3171
URBN 11/19/2018 9.4 6.0 57.2% A 4312
ADI 11/20/2018 3.9 2.6 53.8% B 14959
ADSK 11/20/2018 8.3 9.5 -11.9% D 42481
BBY 11/20/2018 9.3 8.4 11.1% B 88986
BKS 11/20/2018 12.8 7.5 72.3% C 4417
CPB 11/20/2018 6.2 5.9 5.2% C 15774
FL 11/20/2018 13.6 15.3 -10.7% C 8701
GPS 11/20/2018 9.1 7.3 23.9% C 13484
HRL 11/20/2018 4.5 3.5 29.4% C 5100
JEC 11/20/2018 5.3 5.5 -3.4% C 20176
KEYS 11/20/2018 6.9 4.9 39.4% B 5334
KSS 11/20/2018 8.3 5.4 52.1% A 68442
LOW 11/20/2018 6.0 5.3 12.5% C 118499
ROST 11/20/2018 8.2 5.2 56.9% A 32360
TGT 11/20/2018 6.2 5.6 10.3% A 117832
TJX 11/20/2018 6.8 3.5 91.8% A 50085
COL 11/21/2018 5.8 1.9 211.0% A 40901
DE 11/21/2018 6.8 4.9 37.1% C 143324
CBRL 11/27/2018 6.1 3.9 53.9% C 7811
CRM 11/27/2018 6.0 2.3 159.4% C 287086
GME 11/27/2018 11.4 6.4 78.1% D 7083
NTNX 11/27/2018 14.4 7.8 84.3% D 32696
BOX 11/28/2018 13.4 8.4 59.3% D 6417
BURL 11/28/2018 6.5 4.8 35.2% A 15036
DKS 11/28/2018 10.6 10.1 4.7% C 13030
PLCE 11/28/2018 7.6 6.4 18.7% C 13785
SJM 11/28/2018 6.8 5.4 25.6% B 14740
TIF 11/28/2018 7.8 6.0 28.2% C 29247
VEEV 11/28/2018 9.2 8.2 11.4% B 10262
AMBA 11/29/2018 10.4 11.0 -4.9% D 3902
ANF 11/29/2018 14.5 14.7 -2.0% C 10736
AVAV 11/29/2018 12.7 12.9 -1.9% F 4008
DLTR 11/29/2018 8.7 8.9 -1.7% C 49746
FIVE 11/29/2018 9.7 8.0 21.6% B 15811
HPQ 11/29/2018 5.1 4.2 22.9% B 14562
PANW 11/29/2018 9.6 7.9 21.2% C 72927
PVH 11/29/2018 7.7 5.1 50.4% C 16714
SPLK 11/29/2018 8.9 8.9 0.5% D 71396
VMW 11/29/2018 6.9 4.4 56.6% C 48809
WDAY 11/29/2018 6.6 5.3 25.2% D 81523
BIG 11/30/2018 9.1 5.4 68.2% D 5397

 

Volatility Standouts

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
CTXS 74.53% C -1.53% 46.64 7980
GOGO 74.32% D -1.59% 77.47 1633
DF 68.90% C 0.12% 99.21 3379
DOV 67.23% D 0.43% 61.90 13117
DDS 66.63% C 6.43% 83.79 19494
COL 65.69% A -0.04% 94.86 40901
UAA 64.65% D 0.42% 30.43 16127
FDP 64.53% F -2.22% 90.91 111
AN 64.25% C -1.66% 81.42 854
BLUE 63.48% D -4.34% 97.63 21919
SAVE 63.01% C 1.01% 30.83 2306
AXTA 62.95% D -2.81% 62.06 3062
UNIT 62.72% C -2.98% 56.13 13586
LGIH 62.70% D 11.58% 89.33 1391
BPL 62.41% F 4.80% 80.63 3084
CALM 62.24% F -4.15% 87.35 2077
PPC 61.73% D -0.34% 62.06 2994
GPC 61.51% A -1.04% 58.89 6759
OZK 61.31% D 2.29% 97.23 1581
BBBY 61.28% C -2.48% 98.42 14877
TJX 60.88% A 0.20% 97.23 50085
IRBT 60.27% F -1.53% 85.38 12881
FIVE 60.16% B -0.80% 96.44 15811
CASA 58.60% D -7.49% 13.95 385

 

Underlying 2M Volatility vs Forecast Q Rating 2M IV Change IV 2M Percentile Average Daily Vega
ARRS -63.73% D -1.53% 1.98 3632
ECYT -5.92E-01 D -1.59% 1.98 4811
FNSR -5.66E-01 F 0.12% 0.40 9263
LITE -52.73% B 0.43% 64.82 16275
PVTL -47.35% F 6.43% 48.25 1749
VRSN -37.96% A -0.04% 92.89 31021
SAGE -37.44% F 0.42% 94.05 45415
SGH -36.16% A -2.22% 35.40 342
AKRX -28.57% D -1.66% 41.90 1914
ZS -26.46% D -4.34% 58.43 9133
WES -24.46% B 1.01% 87.35 4004
ABMD -20.10% C -2.81% 96.44 61151
PGR -19.36% A -2.98% 96.84 24241
CLDR -18.94% F 11.58% 97.63 5531
ZUO -18.94% F 4.80% 47.18 1887
RH -18.55% B -4.15% 85.38 13813
CRUS -16.65% D -0.34% 75.49 7986
ESIO -15.54% C -1.04% 2.37 5589
RNG -13.26% D 2.29% 90.51 11273
OCLR -12.58% D -2.48% 48.22 314
NKTR -12.18% D 0.20% 11.46 12875
VIAV -11.64% D -1.53% 60.08 777
OLED -11.59% D -0.80% 58.50 57108
ORCL -10.87% C -7.49% 94.86 118192